Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations

DOI10.1137/12088954XzbMath1281.65005OpenAlexW2165271712MaRDI QIDQ2855645

Assyr Abdulle, Gilles Vilmart, Konstantinos C. Zygalakis

Publication date: 28 October 2013

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/12088954x

zbMATH Keywords

numerical experimentsasymptotic stabilitymean-square stabilitystabilized methodsexplicit stochastic methodssecond-order orthogonal Runge-Kutta-Chebyshev methodssystems of stiff stochastic differential equationsweak second-order convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)

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Uses Software

• S-ROCK

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